STATEMENT OF INVESTMENTS
BNY Mellon Insight Core Plus Fund

July 31, 2024 (Unaudited)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%

     

Aerospace & Defense - .9%

     

Rolls-Royce PLC, Gtd. Notes

 

5.75

 

10/15/2027

 

3,983,000

b 

4,033,246

 

The Boeing Company, Sr. Unscd. Notes

 

2.20

 

2/4/2026

 

6,887,000

 

6,556,414

 

The Boeing Company, Sr. Unscd. Notes

 

5.81

 

5/1/2050

 

5,601,000

 

5,223,099

 

The Boeing Company, Sr. Unscd. Notes

 

6.86

 

5/1/2054

 

2,370,000

b 

2,511,334

 
 

18,324,093

 

Agriculture - .4%

     

BAT Capital Corp., Gtd. Notes

 

6.34

 

8/2/2030

 

1,546,000

 

1,646,314

 

BAT Capital Corp., Gtd. Notes

 

7.08

 

8/2/2053

 

556,000

 

616,569

 

BAT International Finance PLC, Gtd. Notes

 

1.67

 

3/25/2026

 

1,998,000

 

1,894,659

 

Philip Morris International, Inc., Sr. Unscd. Notes

 

2.10

 

5/1/2030

 

3,470,000

 

3,018,948

 
 

7,176,490

 

Airlines - 1.2%

     

Air Canada, Sr. Scd. Notes

 

3.88

 

8/15/2026

 

1,760,000

b 

1,694,260

 

Air Canada Pass Through Trust, Ser. 2020-2, Cl. A

 

5.25

 

4/1/2029

 

915,594

b 

916,384

 

American Airlines Pass Through Trust, Ser. 2017-1, Cl. AA

 

3.65

 

2/15/2029

 

132,500

 

126,300

 

American Airlines Pass Through Trust, Ser. 2017-2, Cl. AA

 

3.35

 

10/15/2029

 

194,477

 

181,983

 

American Airlines Pass Through Trust, Ser. 2019-1, Cl. AA

 

3.15

 

2/15/2032

 

1,767,227

 

1,621,269

 

American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes

 

5.50

 

4/20/2026

 

1,403,500

b 

1,395,323

 

American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes

 

5.75

 

4/20/2029

 

1,105,000

b 

1,080,871

 

British Airways Pass Through Trust, Ser. 2020-1, Cl. A

 

4.25

 

11/15/2032

 

511,107

b 

489,811

 

Delta Air Lines, Inc./Skymiles IP Ltd., Sr. Scd. Notes

 

4.50

 

10/20/2025

 

299,379

b 

297,963

 

Delta Air Lines, Inc./Skymiles IP Ltd., Sr. Scd. Notes

 

4.75

 

10/20/2028

 

2,009,000

b 

1,989,454

 

JetBlue Pass Through Trust, Ser. 2020-1, Cl. A

 

4.00

 

11/15/2032

 

6,129,987

 

5,817,287

 

United Airlines Pass Through Trust, Ser. 2018-1, Cl. B

 

4.60

 

3/1/2026

 

83,744

 

82,418

 

United Airlines Pass Through Trust, Ser. 2019-1, Cl. AA

 

4.15

 

8/25/2031

 

837,562

 

800,634

 

United Airlines Pass Through Trust, Ser. 2019-2, Cl. AA

 

2.70

 

5/1/2032

 

2,090,958

 

1,834,195

 

United Airlines Pass Through Trust, Ser. 2020-1, Cl. A

 

5.88

 

10/15/2027

 

762,969

 

772,565

 

United Airlines Pass Through Trust, Ser. 2023-1, Cl. A

 

5.80

 

1/15/2036

 

1,890,789

 

1,937,166

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Airlines - 1.2%(continued)

     

United Airlines, Inc., Sr. Scd. Notes

 

4.38

 

4/15/2026

 

424,000

b 

413,696

 

United Airlines, Inc., Sr. Scd. Notes

 

4.63

 

4/15/2029

 

2,193,000

b 

2,074,235

 
 

23,525,814

 

Asset-Backed Certificates - 3.8%

     

AEP Texas Central Transition Funding III LLC, Ser. 2012-1, Cl. A3

 

2.84

 

3/1/2026

 

2,213,075

 

2,193,371

 

Amur Equipment Finance Receivables XI LLC, Ser. 2022-2A, Cl. A2

 

5.30

 

6/21/2028

 

282,126

b 

282,143

 

Auxilior Term Funding LLC, Ser. 2023-1A, Cl. A2

 

6.18

 

12/15/2028

 

1,028,568

b 

1,036,292

 

Blackbird Capital II Aircraft Lease Ltd., Ser. 2021-1A, Cl. A

 

2.44

 

7/15/2046

 

3,815,097

b 

3,423,261

 

CF Hippolyta Issuer LLC, Ser. 2020-1, Cl. A1

 

1.69

 

7/15/2060

 

3,240,905

b 

3,095,400

 

Daimler Trucks Retail Trust, Ser. 2023-1, Cl. A3

 

5.90

 

3/15/2027

 

3,597,000

 

3,631,424

 

DataBank Issuer, Ser. 2021-2A, Cl. A2

 

2.40

 

10/25/2051

 

4,198,000

b 

3,867,463

 

DB Master Finance LLC, Ser. 2021-1A, Cl. A2I

 

2.05

 

11/20/2051

 

4,253,925

b 

3,958,155

 

Domino's Pizza Master Issuer LLC, Ser. 2021-1A, Cl. A2I

 

2.66

 

4/25/2051

 

3,427,090

b 

3,103,527

 

EnFin Residential Solar Receivables Trust, Ser. 2024-1A, Cl. A

 

6.65

 

2/20/2055

 

2,052,433

b 

2,130,262

 

Flexential Issuer, Ser. 2021-1A, Cl. A2

 

3.25

 

11/27/2051

 

4,035,000

b 

3,769,819

 

Hilton Grand Vacations Trust, Ser. 2023-1A, Cl. A

 

5.72

 

1/25/2038

 

582,266

b 

594,595

 

InStar Leasing III LLC, Ser. 2021-1A, Cl. A

 

2.30

 

2/15/2054

 

1,422,056

b 

1,287,226

 

MetroNet Infrastructure Issuer LLC, Ser. 2024-1A, Cl. A2

 

6.23

 

4/20/2054

 

425,806

b 

437,646

 

New Economy Assets Phase 1 Sponsor LLC, Ser. 2021-1, Cl. A1

 

1.91

 

10/20/2061

 

7,596,000

b 

6,886,291

 

OneMain Financial Issuance Trust, Ser. 2019-2A, Cl. A

 

3.14

 

10/14/2036

 

3,801,000

b 

3,630,299

 

PMT Issuer Trust - FMSR, Ser. 2021-FT1, Cl. A, (1 Month TSFR +3.11%)

 

8.46

 

3/25/2026

 

3,714,000

b,c 

3,739,735

 

Purewest Funding LLC, Ser. 2021-1, Cl. A1

 

4.09

 

12/22/2036

 

1,095,944

b 

1,066,975

 

Regional Management Issuance Trust, Ser. 2024-1, Cl. A

 

5.83

 

7/15/2036

 

981,000

b 

999,445

 

Slam Ltd., Ser. 2021-1A, Cl. A

 

2.43

 

6/15/2046

 

7,482,056

b 

6,760,437

 

TIF Funding II LLC, Ser. 2021-1A, Cl. A

 

1.65

 

2/20/2046

 

2,670,789

b 

2,354,978

 

TIF Funding III LLC, Ser. 2024-1A, Cl. A

 

5.48

 

4/20/2049

 

3,974,100

b 

4,018,866

 

Tricon American Homes Trust, Ser. 2018-SFR1, Cl. C

 

4.04

 

5/17/2037

 

4,000,000

b 

3,941,865

 

Vantage Data Centers Issuer LLC, Ser. 2021-1A, Cl. A2

 

2.17

 

10/15/2046

 

3,750,000

b 

3,478,068

 

Willis Engine Structured Trust IV, Ser. 2018-A, Cl. A

 

4.75

 

9/15/2043

 

682,889

b 

666,517

 

Willis Engine Structured Trust VI, Ser. 2021-A, Cl. A

 

3.10

 

5/15/2046

 

4,036,141

b 

3,640,192

 
 

73,994,252

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Asset-Backed Certificates/Auto Receivables - 1.0%

     

Avis Budget Rental Car Funding AESOP LLC, Ser. 2020-1A, Cl. A

 

2.33

 

8/20/2026

 

1,575,000

b 

1,534,647

 

Bayview Opportunity Master Fund VII LLC, Ser. 2024-CAR1, Cl. A, (1 Month SOFR +1.10%)

 

6.45

 

12/26/2031

 

1,084,366

b,c 

1,088,208

 

Bayview Opportunity Master Fund VII Trust, Ser. 2024-SN1, Cl. C

 

5.83

 

12/15/2028

 

1,052,000

b 

1,062,013

 

Carvana Auto Receivables Trust, Ser. 2021-N1, Cl. C

 

1.30

 

1/10/2028

 

1,352,492

 

1,294,370

 

Chesapeake Funding II LLC, Ser. 2023-2A, Cl. A1

 

6.16

 

10/15/2035

 

1,036,048

b 

1,047,404

 

Credit Acceptance Auto Loan Trust, Ser. 2022-3A, Cl. A

 

6.57

 

10/15/2032

 

2,020,000

b 

2,032,029

 

Ford Credit Auto Owner Trust, Ser. 2024-1, Cl. A

 

4.87

 

8/15/2036

 

2,394,000

b 

2,425,048

 

Merchants Fleet Funding LLC, Ser. 2024-1A, Cl. D

 

6.85

 

4/20/2037

 

2,980,000

b 

3,025,637

 

OSCAR US Funding XVI LLC, Ser. 2024-1A, Cl. A3

 

5.54

 

2/10/2028

 

1,803,000

b 

1,814,938

 

Santander Drive Auto Receivables Trust, Ser. 2022-5, Cl. A3

 

4.11

 

8/17/2026

 

50,781

 

50,741

 

SFS Auto Receivables Securitization Trust, Ser. 2023-1A, Cl. A2A

 

5.89

 

3/22/2027

 

750,433

b 

751,556

 

Tesla Auto Lease Trust, Ser. 2023-B, Cl. A3

 

6.13

 

9/21/2026

 

3,793,000

b 

3,818,531

 

US Bank NA, Ser. 2023-1, Cl. B

 

6.79

 

8/25/2032

 

334,866

b 

337,972

 
 

20,283,094

 

Asset-Backed Certificates/Home Equity Loans - .1%

     

RCKT Mortgage Trust, Ser. 2024-CES2, Cl. A2

 

6.39

 

4/25/2044

 

1,441,865

b 

1,455,202

 

Asset-Backed Certificates/Student Loans - .1%

     

Commonbond Student Loan Trust, Ser. 2019-AGS, Cl. A1

 

2.54

 

1/25/2047

 

1,940,423

b 

1,754,674

 

SMB Private Education Loan Trust, Ser. 2017-B, Cl. A2B, (1 Month TSFR +0.86%)

 

6.19

 

10/15/2035

 

24,994

b,c 

24,960

 
 

1,779,634

 

Automobiles & Components - 1.9%

     

Ford Motor Credit Co. LLC, Sr. Unscd. Notes

 

2.30

 

2/10/2025

 

8,740,000

 

8,578,276

 

Ford Motor Credit Co. LLC, Sr. Unscd. Notes

 

4.54

 

8/1/2026

 

3,004,000

 

2,956,604

 

Ford Motor Credit Co. LLC, Sr. Unscd. Notes

 

5.80

 

3/5/2027

 

2,491,000

 

2,515,177

 

Ford Motor Credit Co. LLC, Sr. Unscd. Notes

 

7.12

 

11/7/2033

 

4,245,000

 

4,535,206

 

General Motors Financial Co., Inc., Sr. Unscd. Notes

 

2.35

 

1/8/2031

 

7,880,000

 

6,616,507

 

General Motors Financial Co., Inc., Sr. Unscd. Notes

 

3.60

 

6/21/2030

 

4,332,000

 

3,984,305

 

Mercedes-Benz Finance North America LLC, Gtd. Notes

 

5.05

 

8/3/2033

 

1,640,000

b 

1,654,219

 

Stellantis Finance US, Inc., Gtd. Notes

 

2.69

 

9/15/2031

 

2,301,000

b 

1,928,733

 

Volkswagen Group of America Finance LLC, Gtd. Notes

 

6.45

 

11/16/2030

 

4,420,000

b 

4,745,568

 
 

37,514,595

 

Banks - 8.8%

     

Bank of America Corp., Sr. Unscd. Notes

 

3.42

 

12/20/2028

 

1,282,000

 

1,225,470

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Banks - 8.8%(continued)

     

Bank of America Corp., Sr. Unscd. Notes

 

3.50

 

4/19/2026

 

1,635,000

 

1,600,934

 

Bank of America Corp., Sr. Unscd. Notes

 

3.97

 

3/5/2029

 

5,190,000

 

5,036,617

 

Bank of America Corp., Sr. Unscd. Notes

 

5.29

 

4/25/2034

 

12,262,000

 

12,382,075

 

Bank of America Corp., Sr. Unscd. Notes

 

5.47

 

1/23/2035

 

2,261,000

 

2,312,802

 

Bank of Montreal, Jr. Sub. Notes

 

7.30

 

11/26/2084

 

5,955,000

 

6,028,175

 

Citigroup, Inc., Jr. Sub. Bonds, Ser. W

 

4.00

 

12/10/2025

 

2,385,000

d 

2,289,167

 

Citizens Bank NA/Providence RI, Sr. Unscd. Notes

 

2.25

 

4/28/2025

 

580,000

 

565,528

 

Citizens Bank NA/Providence RI, Sr. Unscd. Notes

 

6.06

 

10/24/2025

 

3,855,000

 

3,846,338

 

Citizens Financial Group, Inc., Sr. Unscd. Notes

 

5.72

 

7/23/2032

 

3,648,000

 

3,694,355

 

Citizens Financial Group, Inc., Sr. Unscd. Notes

 

5.84

 

1/23/2030

 

1,264,000

 

1,285,397

 

Citizens Financial Group, Inc., Sr. Unscd. Notes

 

6.65

 

4/25/2035

 

1,712,000

e 

1,825,060

 

Danske Bank A/S, Sr. Notes

 

5.71

 

3/1/2030

 

6,259,000

b 

6,403,996

 

Fifth Third Bancorp, Sr. Unscd. Notes

 

2.38

 

1/28/2025

 

3,333,000

 

3,281,257

 

HSBC Capital Funding Dollar 1 LP, Gtd. Notes

 

10.18

 

6/30/2030

 

325,000

b,d 

402,448

 

HSBC Holdings PLC, Jr. Sub. Notes

 

4.60

 

12/17/2030

 

5,303,000

d 

4,610,340

 

ING Groep NV, Sr. Unscd. Notes

 

3.87

 

3/28/2026

 

5,462,000

 

5,409,204

 

JPMorgan Chase & Co., Jr. Sub. Notes, Ser. HH

 

4.60

 

2/1/2025

 

663,000

d 

659,673

 

JPMorgan Chase & Co., Sr. Unscd. Notes

 

2.58

 

4/22/2032

 

10,300,000

 

8,888,306

 

JPMorgan Chase & Co., Sr. Unscd. Notes

 

3.96

 

1/29/2027

 

2,670,000

 

2,630,026

 

JPMorgan Chase & Co., Sr. Unscd. Notes

 

5.30

 

7/24/2029

 

3,656,000

 

3,721,902

 

JPMorgan Chase & Co., Sub. Notes

 

5.72

 

9/14/2033

 

6,225,000

 

6,450,008

 

Morgan Stanley, Sr. Unscd. Notes

 

4.43

 

1/23/2030

 

6,852,000

 

6,736,373

 

Morgan Stanley, Sr. Unscd. Notes

 

6.63

 

11/1/2034

 

6,110,000

 

6,739,289

 

Morgan Stanley, Sub. Notes

 

4.35

 

9/8/2026

 

2,500,000

 

2,470,295

 

Santander Holdings USA, Inc., Sr. Unscd. Notes

 

6.50

 

3/9/2029

 

875,000

 

903,885

 

State Street Corp., Jr. Sub. Notes, Ser. I

 

6.70

 

3/15/2029

 

3,436,000

d 

3,448,249

 

The Goldman Sachs Group, Inc., Sr. Unscd. Notes

 

2.62

 

4/22/2032

 

9,150,000

 

7,863,297

 

The Goldman Sachs Group, Inc., Sr. Unscd. Notes

 

3.69

 

6/5/2028

 

700,000

 

677,698

 

The Goldman Sachs Group, Inc., Sr. Unscd. Notes

 

3.81

 

4/23/2029

 

1,205,000

 

1,159,299

 

The Goldman Sachs Group, Inc., Sr. Unscd. Notes

 

4.48

 

8/23/2028

 

1,810,000

 

1,788,665

 

The PNC Financial Services Group, Inc., Sr. Unscd. Notes

 

5.30

 

1/21/2028

 

2,278,000

 

2,299,247

 

The PNC Financial Services Group, Inc., Sr. Unscd. Notes

 

6.62

 

10/20/2027

 

2,252,000

 

2,332,609

 

The Toronto-Dominion Bank, Jr. Sub. Notes

 

7.25

 

7/31/2084

 

5,637,000

 

5,678,223

 

Truist Financial Corp., Sr. Unscd. Notes

 

5.71

 

1/24/2035

 

10,701,000

 

10,945,329

 

Truist Financial Corp., Sr. Unscd. Notes

 

5.87

 

6/8/2034

 

804,000

 

830,054

 

Truist Financial Corp., Sr. Unscd. Notes

 

7.16

 

10/30/2029

 

1,221,000

 

1,315,504

 

U.S. Bancorp, Sr. Unscd. Notes

 

5.68

 

1/23/2035

 

3,734,000

 

3,836,786

 

U.S. Bancorp, Sr. Unscd. Notes

 

5.84

 

6/12/2034

 

1,165,000

 

1,209,885

 

UBS Group AG, Sr. Unscd. Notes

 

2.59

 

9/11/2025

 

2,867,000

b 

2,857,270

 

UBS Group AG, Sr. Unscd. Notes

 

3.09

 

5/14/2032

 

722,000

b 

631,348

 

UBS Group AG, Sr. Unscd. Notes

 

5.70

 

2/8/2035

 

2,399,000

b 

2,455,871

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Banks - 8.8%(continued)

     

UBS Group AG, Sr. Unscd. Notes

 

6.54

 

8/12/2033

 

914,000

b 

982,333

 

Wells Fargo & Co., Jr. Sub. Notes, Ser. BB

 

3.90

 

3/15/2026

 

5,274,000

d 

5,062,257

 

Wells Fargo & Co., Sr. Unscd. Notes

 

5.20

 

1/23/2030

 

2,257,000

 

2,284,981

 

Wells Fargo & Co., Sr. Unscd. Notes

 

5.57

 

7/25/2029

 

3,779,000

 

3,870,514

 

Wells Fargo & Co., Sr. Unscd. Notes

 

6.49

 

10/23/2034

 

6,190,000

 

6,747,594

 

Westpac Banking Corp., Sub. Notes

 

2.67

 

11/15/2035

 

4,651,000

 

3,953,168

 
 

173,629,101

 

Beverage Products - .1%

     

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes

 

4.70

 

2/1/2036

 

1,385,000

 

1,353,876

 

Building Materials - .8%

     

Builders FirstSource, Inc., Gtd. Notes

 

6.38

 

3/1/2034

 

4,495,000

b 

4,539,222

 

Cemex SAB de CV, Sub. Notes

 

9.13

 

3/14/2028

 

964,000

b,d 

1,040,384

 

Owens Corning, Sr. Unscd. Notes

 

3.50

 

2/15/2030

 

368,000

b 

341,857

 

Smyrna Ready Mix Concrete LLC, Sr. Scd. Notes

 

6.00

 

11/1/2028

 

2,160,000

b 

2,141,985

 

Smyrna Ready Mix Concrete LLC, Sr. Scd. Notes

 

8.88

 

11/15/2031

 

7,385,000

b 

7,964,087

 
 

16,027,535

 

Chemicals - .7%

     

Braskem Netherlands Finance BV, Gtd. Notes

 

4.50

 

1/31/2030

 

2,718,000

b 

2,352,135

 

Celanese US Holdings LLC, Gtd. Bonds

EUR

5.34

 

1/19/2029

 

4,000,000

 

4,614,144

 

Celanese US Holdings LLC, Gtd. Notes

 

6.55

 

11/15/2030

 

2,381,000

 

2,535,829

 

Solvay Finance America LLC, Gtd. Notes

 

5.85

 

6/4/2034

 

3,672,000

b 

3,769,225

 
 

13,271,333

 

Collateralized Loan Obligations Debt - 3.0%

     

Antares Ltd. CLO, Ser. 2017-1A, Cl. BR, (3 Month TSFR +2.26%)

 

7.54

 

4/20/2033

 

275,000

b,c 

275,476

 

Apidos XXXIX Ltd. CLO, Ser. 2022-39A, Cl. A1, (3 Month TSFR +1.30%)

 

6.58

 

4/21/2035

 

5,000,000

b,c 

5,006,805

 

BlackRock Shasta XIII LLC CLO, Ser. 2024-1A, Cl. A1, (3 Month TSFR +1.85%)

 

7.15

 

7/15/2036

 

6,000,000

b,c 

6,023,172

 

Cerberus Loan Funding XLV LLC CLO, Ser. 2024-1A, Cl. A, (3 Month TSFR +1.90%)

 

7.20

 

4/15/2036

 

5,000,000

b,c 

5,018,740

 

Fortress Credit Opportunities IX Ltd. CLO, Ser. 2017-9A, Cl. A1TR, (3 Month TSFR +1.81%)

 

7.11

 

10/15/2033

 

1,800,000

b,c 

1,801,199

 

Fortress Credit Opportunities XVII Ltd. CLO, Ser. 2022-17A, Cl. A, (3 Month TSFR +1.37%)

 

6.67

 

1/15/2030

 

29,897

b,c 

29,918

 

Golub Capital Partners Ltd. CLO, Ser. 2020-47A, Cl. CR, (3 Month TSFR +2.40%)

 

7.73

 

8/5/2037

 

5,481,000

b,c 

5,481,000

 

IVY Hill Middle Market Credit Fund XII Ltd. CLO, Ser. 12A, Cl. A2AR, (3 Month TSFR +2.16%)

 

7.44

 

7/20/2033

 

340,000

b,c 

340,650

 

IVY Hill Middle Market Credit Fund XVIII Ltd. CLO, Ser. 18A, Cl. A, (3 Month TSFR +1.76%)

 

7.04

 

4/22/2033

 

7,850,000

b,c 

7,865,441

 

MCF CLO VIII Ltd., Ser. 2018-1A, Cl. AR, (3 Month TSFR +1.95%)

 

7.25

 

4/18/2036

 

4,550,000

b,c 

4,567,595

 

MCF CLO VIII Ltd., Ser. 2018-1A, Cl. CR, (3 Month TSFR +3.10%)

 

8.40

 

4/18/2036

 

6,500,000

b,c 

6,558,103

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Collateralized Loan Obligations Debt - 3.0%(continued)

     

MF1 Ltd. CLO, Ser. 2021-FL7, Cl. AS, (1 Month TSFR +1.56%)

 

6.90

 

10/16/2036

 

6,578,500

b,c 

6,524,364

 

MF1 Ltd. CLO, Ser. 2022-FL8, Cl. A, (1 Month TSFR +1.35%)

 

6.69

 

2/19/2037

 

3,327,843

b,c 

3,302,861

 

Neuberger Berman Loan Advisers 47 Ltd. CLO, Ser. 2022-47A, Cl. A, (3 Month TSFR +1.30%)

 

6.60

 

4/14/2035

 

5,680,688

b,c 

5,691,635

 
 

58,486,959

 

Commercial & Professional Services - 1.5%

     

Ashtead Capital, Inc., Gtd. Notes

 

4.00

 

5/1/2028

 

1,386,000

b 

1,330,089

 

Ashtead Capital, Inc., Gtd. Notes

 

5.95

 

10/15/2033

 

2,656,000

b 

2,729,642

 

DP World Ltd./United Arab Emirates, Sr. Unscd. Notes

 

6.85

 

7/2/2037

 

690,000

 

761,575

 

ERAC USA Finance LLC, Gtd. Bonds

 

4.50

 

2/15/2045

 

3,160,000

b 

2,817,058

 

ERAC USA Finance LLC, Gtd. Notes

 

3.85

 

11/15/2024

 

1,895,000

b 

1,886,259

 

ERAC USA Finance LLC, Gtd. Notes

 

5.20

 

10/30/2034

 

2,830,000

b 

2,873,576

 

Global Payments, Inc., Sr. Unscd. Notes

 

5.40

 

8/15/2032

 

1,159,000

 

1,159,408

 

Herc Holdings, Inc., Gtd. Notes

 

5.50

 

7/15/2027

 

1,764,000

b 

1,750,754

 

Herc Holdings, Inc., Gtd. Notes

 

6.63

 

6/15/2029

 

3,875,000

b 

3,959,370

 

Prime Security Services Borrower LLC/Prime Finance, Inc., Sr. Scd. Notes

 

3.38

 

8/31/2027

 

2,188,000

b 

2,043,987

 

Triton Container International Ltd., Gtd. Notes

 

3.15

 

6/15/2031

 

1,146,000

b 

977,203

 

United Rentals North America, Inc., Gtd. Notes

 

6.13

 

3/15/2034

 

4,884,000

b 

4,913,128

 

Williams Scotsman, Inc., Sr. Scd. Notes

 

6.63

 

6/15/2029

 

2,123,000

b 

2,163,591

 
 

29,365,640

 

Commercial Mortgage Pass-Through Certificates - 2.0%

     

Angel Oak Mortgage Trust, Ser. 2024-3, Cl. A2

 

4.80

 

11/26/2068

 

379,240

b 

371,349

 

BRAVO Residential Funding Trust, Ser. 2023-NQM5, Cl. A2

 

6.86

 

6/25/2063

 

1,150,109

b 

1,161,438

 

BXHPP Trust, Ser. 2021-FILM, Cl. C, (1 Month TSFR +1.21%)

 

6.54

 

8/15/2036

 

1,181,000

b,c 

1,106,980

 

COLT Mortgage Loan Trust, Ser. 2023-3, Cl. A2

 

7.43

 

9/25/2068

 

2,670,551

b 

2,709,549

 

Commercial Mortgage Trust, Ser. 2015-DC1, Cl. A5

 

3.35

 

2/10/2048

 

2,570,000

 

2,539,939

 

Commercial Mortgage Trust, Ser. 2020-CX, Cl. D

 

2.68

 

11/10/2046

 

705,000

b 

551,136

 

Cross Mortgage Trust, Ser. 2024-H2, Cl. A2

 

6.42

 

4/25/2069

 

1,120,684

b 

1,126,949

 

Cross Mortgage Trust, Ser. 2024-H2, Cl. A3

 

6.52

 

4/25/2069

 

1,450,723

b 

1,458,807

 

Cross Mortgage Trust, Ser. 2024-H3, Cl. A2

 

6.58

 

6/25/2069

 

2,962,628

b 

2,988,669

 

GS Mortgage-Backed Securities Trust, Ser. 2024-HE1, Cl. A1, (1 Month SOFR +1.60%)

 

6.95

 

8/25/2054

 

6,918,564

b,c 

6,931,135

 

Houston Galleria Mall Trust, Ser. 2015-HGLR, Cl. A1A2

 

3.09

 

3/5/2037

 

865,000

b 

846,189

 

Imperial Fund Mortgage Trust, Ser. 2023-NQM1, Cl. A1

 

5.94

 

2/25/2068

 

1,140,715

b 

1,136,578

 

JP Morgan Mortgage Trust, Ser. 2024-CES1, Cl. A2

 

6.15

 

6/25/2054

 

1,905,618

b 

1,923,861

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Commercial Mortgage Pass-Through Certificates - 2.0%(continued)

     

New Residential Mortgage Loan Trust, Ser. 2021-NQ2R, Cl. A1

 

0.94

 

10/25/2058

 

979,501

b 

908,303

 

New Residential Mortgage Loan Trust, Ser. 2022-NQM1, Cl. A1

 

2.28

 

4/25/2061

 

6,051,932

b 

5,277,219

 

NYMT Loan Trust, Ser. 2024-BPL2, Cl. A1

 

6.51

 

5/25/2039

 

4,605,000

b 

4,664,259

 

Towd Point Mortgage Trust, Ser. 2023-1, Cl. A1

 

3.75

 

1/25/2063

 

1,003,550

b 

955,767

 

Verus Securitization Trust, Ser. 2020-1, Cl. A1

 

3.42

 

1/25/2060

 

153,753

b 

148,965

 

Wells Fargo Commercial Mortgage Trust, Ser. 2015-C31, Cl. A3

 

3.43

 

11/15/2048

 

1,961,531

 

1,924,375

 
 

38,731,467

 

Consumer Discretionary - 2.0%

     

Caesars Entertainment, Inc., Gtd. Notes

 

8.13

 

7/1/2027

 

1,190,000

b 

1,216,280

 

Caesars Entertainment, Inc., Sr. Scd. Notes

 

6.50

 

2/15/2032

 

292,000

b 

296,036

 

Caesars Entertainment, Inc., Sr. Scd. Notes

 

7.00

 

2/15/2030

 

1,288,000

b 

1,329,480

 

Carnival Corp., Gtd. Notes

 

6.00

 

5/1/2029

 

2,000,000

b,e 

1,996,390

 

Carnival Holdings Bermuda Ltd., Gtd. Notes

 

10.38

 

5/1/2028

 

4,650,000

b 

5,029,749

 

International Game Technology PLC, Sr. Scd. Notes

 

5.25

 

1/15/2029

 

4,740,000

b 

4,651,383

 

Las Vegas Sands Corp., Sr. Unscd. Notes

 

3.50

 

8/18/2026

 

5,000,000

 

4,822,689

 

MGM China Holdings Ltd., Sr. Unscd. Notes

 

4.75

 

2/1/2027

 

2,671,000

b 

2,551,232

 

NCL Corp. Ltd., Sr. Unscd. Notes

 

7.75

 

2/15/2029

 

4,420,000

b,e 

4,654,751

 

Whirlpool Corp., Sr. Unscd. Notes

 

5.75

 

3/1/2034

 

3,889,000

 

3,925,004

 

Wynn Macau Ltd., Sr. Unscd. Notes

 

5.63

 

8/26/2028

 

8,690,000

b 

8,237,284

 
 

38,710,278

 

Diversified Financials - 1.3%

     

AerCap Holdings NV, Gtd. Notes

 

5.88

 

10/10/2079

 

3,600,000

 

3,593,956

 

Aercap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes

 

3.30

 

1/30/2032

 

5,348,000

 

4,710,750

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes

 

6.95

 

3/10/2055

 

778,000

 

787,043

 

Aircastle Ltd./Aircastle Ireland DAC, Sr. Unscd. Notes

 

5.75

 

10/1/2031

 

1,539,000

b 

1,549,345

 

Ally Financial, Inc., Gtd. Notes

 

8.00

 

11/1/2031

 

4,581,000

 

5,159,238

 

Discover Financial Services, Sr. Unscd. Notes

 

6.70

 

11/29/2032

 

1,026,000

 

1,104,907

 

LSEGA Financing PLC, Gtd. Notes

 

1.38

 

4/6/2026

 

3,953,000

b 

3,727,687

 

LSEGA Financing PLC, Gtd. Notes

 

2.50

 

4/6/2031

 

1,701,000

b 

1,464,990

 

Macquarie Airfinance Holdings Ltd., Sr. Unscd. Notes

 

6.50

 

3/26/2031

 

2,102,000

b 

2,183,101

 

Nasdaq, Inc., Sr. Unscd. Notes

 

5.35

 

6/28/2028

 

1,069,000

 

1,095,908

 
 

25,376,925

 

Energy - 6.3%

     

Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes

 

6.63

 

2/1/2032

 

5,374,000

b 

5,486,059

 

BP Capital Markets PLC, Gtd. Notes

 

4.38

 

6/22/2025

 

933,000

d 

918,038

 

Cheniere Energy Partners LP, Gtd. Notes

 

3.25

 

1/31/2032

 

650,000

 

567,547

 

Cheniere Energy Partners LP, Gtd. Notes

 

5.95

 

6/30/2033

 

662,000

 

684,279

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Energy - 6.3%(continued)

     

Cheniere Energy, Inc., Sr. Unscd. Notes

 

5.65

 

4/15/2034

 

1,317,000

b 

1,339,118

 

CITGO Petroleum Corp., Sr. Scd. Notes

 

7.00

 

6/15/2025

 

5,052,000

b 

5,052,762

 

CITGO Petroleum Corp., Sr. Scd. Notes

 

8.38

 

1/15/2029

 

5,091,000

b 

5,309,134

 

Columbia Pipelines Holding Co. LLC, Sr. Unscd. Notes

 

6.06

 

8/15/2026

 

552,000

b 

560,813

 

Columbia Pipelines Operating Co. LLC, Sr. Unscd. Notes

 

6.54

 

11/15/2053

 

1,220,000

b 

1,323,080

 

CVR Energy, Inc., Gtd. Bonds

 

5.75

 

2/15/2028

 

5,173,000

b 

4,880,962

 

Diamondback Energy, Inc., Gtd. Notes

 

5.40

 

4/18/2034

 

1,457,000

 

1,475,554

 

Diamondback Energy, Inc., Gtd. Notes

 

5.75

 

4/18/2054

 

2,694,000

 

2,668,826

 

DT Midstream, Inc., Sr. Scd. Notes

 

4.30

 

4/15/2032

 

2,982,000

b 

2,742,878

 

Empresa Nacional del Petroleo, Sr. Unscd. Notes

 

5.95

 

7/30/2034

 

681,000

b 

681,681

 

Enbridge, Inc., Gtd. Notes

 

6.70

 

11/15/2053

 

1,894,000

 

2,117,856

 

Enbridge, Inc., Jr. Sub. Notes

 

7.38

 

3/15/2055

 

5,806,000

 

5,897,735

 

Energy Transfer LP, Gtd. Notes

 

7.38

 

2/1/2031

 

2,625,000

b 

2,774,032

 

Energy Transfer LP, Jr. Sub. Notes, Ser. G

 

7.13

 

5/15/2030

 

1,004,000

d 

1,003,310

 

Energy Transfer LP, Sr. Unscd. Notes

 

3.75

 

5/15/2030

 

1,690,000

 

1,592,560

 

Energy Transfer LP, Sr. Unscd. Notes

 

5.00

 

5/15/2050

 

1,703,000

 

1,486,546

 

Energy Transfer LP, Sr. Unscd. Notes

 

5.15

 

2/1/2043

 

1,085,000

 

978,455

 

Energy Transfer LP, Sr. Unscd. Notes

 

5.25

 

7/1/2029

 

7,572,000

 

7,658,894

 

Energy Transfer LP, Sr. Unscd. Notes

 

5.55

 

5/15/2034

 

538,000

 

543,231

 

Energy Transfer LP, Sr. Unscd. Notes

 

5.95

 

5/15/2054

 

1,332,000

 

1,316,363

 

Enterprise Products Operating LLC, Gtd. Notes

 

3.30

 

2/15/2053

 

2,616,000

 

1,817,478

 

Global Partners LP/GLP Finance Corp., Gtd. Notes

 

6.88

 

1/15/2029

 

1,870,000

 

1,866,117

 

Global Partners LP/GLP Finance Corp., Gtd. Notes

 

8.25

 

1/15/2032

 

4,519,000

b 

4,644,984

 

Hess Midstream Operations LP, Gtd. Notes

 

5.13

 

6/15/2028

 

540,000

b 

526,022

 

Hess Midstream Operations LP, Gtd. Notes

 

5.50

 

10/15/2030

 

1,855,000

b 

1,803,376

 

Howard Midstream Energy Partners LLC, Sr. Unscd. Notes

 

7.38

 

7/15/2032

 

1,201,000

b 

1,237,688

 

Howard Midstream Energy Partners LLC, Sr. Unscd. Notes

 

8.88

 

7/15/2028

 

2,778,000

b 

2,958,803

 

MPLX LP, Sr. Unscd. Notes

 

2.65

 

8/15/2030

 

5,900,000

 

5,211,577

 

MPLX LP, Sr. Unscd. Notes

 

4.13

 

3/1/2027

 

855,000

 

840,014

 

MPLX LP, Sr. Unscd. Notes

 

5.20

 

12/1/2047

 

1,180,000

 

1,075,320

 

NGPL PipeCo LLC, Sr. Unscd. Notes

 

3.25

 

7/15/2031

 

2,644,000

b 

2,313,955

 

NGPL PipeCo LLC, Sr. Unscd. Notes

 

7.77

 

12/15/2037

 

2,180,000

b 

2,556,220

 

Occidental Petroleum Corp., Sr. Unscd. Notes

 

6.45

 

9/15/2036

 

8,300,000

 

8,872,160

 

Occidental Petroleum Corp., Sr. Unscd. Notes

 

6.63

 

9/1/2030

 

4,934,000

 

5,269,083

 

ONEOK, Inc., Gtd. Notes

 

5.80

 

11/1/2030

 

1,366,000

 

1,427,738

 

ONEOK, Inc., Gtd. Notes

 

6.05

 

9/1/2033

 

6,445,000

 

6,784,547

 

ONEOK, Inc., Gtd. Notes

 

6.10

 

11/15/2032

 

779,000

 

823,683

 

Petroleos Del Peru SA, Sr. Unscd. Notes

 

4.75

 

6/19/2032

 

2,270,000

b 

1,710,793

 

Saudi Arabian Oil Co., Sr. Unscd. Notes

 

5.75

 

7/17/2054

 

2,985,000

b 

2,930,076

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Energy - 6.3%(continued)

     

SM Energy Co., Sr. Unscd. Notes

 

6.75

 

8/1/2029

 

2,722,000

b 

2,741,745

 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes

 

4.88

 

2/1/2031

 

1,595,000

 

1,547,191

 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes

 

5.00

 

1/15/2028

 

1,136,000

 

1,126,237

 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes

 

5.50

 

3/1/2030

 

5,070,000

 

5,084,860

 
 

124,229,380

 

Environmental Control - .2%

     

Wrangler Holdco Corp., Gtd. Notes

 

6.63

 

4/1/2032

 

3,952,000

b 

3,969,626

 

Food Products - .8%

     

Bimbo Bakeries USA, Inc., Gtd. Notes

 

4.00

 

5/17/2051

 

2,595,000

b 

2,022,098

 

Bimbo Bakeries USA, Inc., Gtd. Notes

 

5.38

 

1/9/2036

 

417,000

b 

416,573

 

Bimbo Bakeries USA, Inc., Gtd. Notes

 

6.40

 

1/15/2034

 

3,274,000

b 

3,535,331

 

JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, Gtd. Notes

 

3.63

 

1/15/2032

 

1,477,000

 

1,291,673

 

MARB BondCo PLC, Gtd. Bonds

 

3.95

 

1/29/2031

 

1,426,000

b 

1,186,427

 

NBM US Holdings, Inc., Gtd. Notes

 

6.63

 

8/6/2029

 

1,525,000

b 

1,512,794

 

The J.M. Smucker Company, Sr. Unscd. Notes

 

4.25

 

3/15/2035

 

6,000,000

 

5,543,004

 

The J.M. Smucker Company, Sr. Unscd. Notes

 

6.50

 

11/15/2053

 

921,000

 

1,021,489

 
 

16,529,389

 

Foreign Governmental - 2.7%

     

Hungary, Sr. Unscd. Notes

 

6.75

 

9/25/2052

 

790,000

b 

856,419

 

Israel, Sr. Unscd. Notes

 

5.75

 

3/12/2054

 

3,492,000

 

3,238,132

 

Peru, Sr. Unscd. Bonds

PEN

7.30

 

8/12/2033

 

54,415,000

b 

15,073,051

 

Poland, Sr. Unscd. Notes

 

5.50

 

3/18/2054

 

7,027,000

 

6,939,022

 

Romania, Bonds, Ser. 10Y

RON

7.20

 

10/30/2033

 

60,275,000

 

13,580,650

 

Treasury Corp. of Victoria, Govt. Gtd. Notes

AUD

5.25

 

9/15/2038

 

21,400,000

 

13,857,281

 
 

53,544,555

 

Forest Products & Paper - .1%

     

Suzano Austria GmbH, Gtd. Notes

 

3.75

 

1/15/2031

 

1,516,000

 

1,345,903

 

Health Care - 1.2%

     

Amgen, Inc., Sr. Unscd. Notes

 

5.25

 

3/2/2030

 

693,000

 

711,691

 

Amgen, Inc., Sr. Unscd. Notes

 

5.65

 

3/2/2053

 

1,659,000

 

1,672,827

 

Bayer US Finance II LLC, Gtd. Notes

 

4.63

 

6/25/2038

 

1,807,000

b 

1,571,411

 

Bayer US Finance LLC, Gtd. Notes

 

6.50

 

11/21/2033

 

2,095,000

b 

2,201,255

 

CVS Health Corp., Sr. Unscd. Notes

 

1.30

 

8/21/2027

 

2,627,000

 

2,363,319

 

CVS Health Corp., Sr. Unscd. Notes

 

4.25

 

4/1/2050

 

1,660,000

 

1,302,301

 

CVS Health Corp., Sr. Unscd. Notes

 

5.05

 

3/25/2048

 

700,000

 

617,744

 

Endo Finance Holdings, Inc., Sr. Scd. Notes

 

8.50

 

4/15/2031

 

505,000

b 

532,861

 

HCA, Inc., Gtd. Notes

 

3.13

 

3/15/2027

 

851,000

 

815,258

 

Royalty Pharma PLC, Gtd. Notes

 

2.15

 

9/2/2031

 

2,258,000

e 

1,868,421

 

Royalty Pharma PLC, Gtd. Notes

 

2.20

 

9/2/2030

 

4,242,000

 

3,625,761

 

STERIS Irish FinCo Unlimited Co., Gtd. Notes

 

2.70

 

3/15/2031

 

1,724,000

 

1,487,144

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Health Care - 1.2%(continued)

     

Teva Pharmaceutical Finance Netherlands III BV, Gtd. Notes

 

5.13

 

5/9/2029

 

555,000

e 

539,188

 

UnitedHealth Group, Inc., Sr. Unscd. Notes

 

3.05

 

5/15/2041

 

2,964,000

 

2,243,754

 

Zimmer Biomet Holdings, Inc., Sr. Unscd. Notes

 

5.35

 

12/1/2028

 

2,323,000

 

2,377,875

 
 

23,930,810

 

Industrial - .7%

     

Benteler International AG, Sr. Scd. Notes

 

10.50

 

5/15/2028

 

4,914,000

b 

5,230,673

 

Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unscd. Notes

 

1.20

 

11/15/2025

 

3,470,000

b 

3,302,205

 

TK Elevator US Newco, Inc., Sr. Scd. Notes

 

5.25

 

7/15/2027

 

6,231,000

b 

6,114,517

 
 

14,647,395

 

Information Technology - .4%

     

Fiserv, Inc., Sr. Unscd. Notes

 

5.60

 

3/2/2033

 

795,000

 

823,224

 

Salesforce, Inc., Sr. Unscd. Notes

 

2.90

 

7/15/2051

 

5,020,000

 

3,335,309

 

VMware LLC, Sr. Unscd. Notes

 

2.20

 

8/15/2031

 

3,657,000

 

3,055,698

 
 

7,214,231

 

Insurance - 1.3%

     

Allianz SE, Jr. Sub. Bonds

 

3.20

 

10/30/2027

 

1,800,000

b,d 

1,523,573

 

Allianz SE, Jr. Sub. Notes

 

3.50

 

11/17/2025

 

1,600,000

b,d 

1,518,511

 

American International Group, Inc., Sr. Unscd. Notes

 

4.38

 

6/30/2050

 

4,150,000

 

3,538,234

 

Corebridge Financial, Inc., Sr. Unscd. Notes

 

5.75

 

1/15/2034

 

4,058,000

 

4,180,533

 

MetLife, Inc., Jr. Sub. Bonds

 

9.25

 

4/8/2038

 

6,360,000

b 

7,461,164

 

MetLife, Inc., Jr. Sub. Debs.

 

6.40

 

12/15/2036

 

3,237,000

 

3,306,819

 

The Allstate Corp., Jr. Sub. Bonds

 

6.50

 

5/15/2057

 

2,325,000

 

2,366,229

 

Unum Group, Sr. Unscd. Notes

 

6.00

 

6/15/2054

 

1,243,000

 

1,227,661

 
 

25,122,724

 

Internet Software & Services - .1%

     

Meta Platforms, Inc., Sr. Unscd. Notes

 

4.45

 

8/15/2052

 

3,235,000

 

2,840,375

 

Materials - .4%

     

Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Sr. Unscd. Notes

 

4.00

 

9/1/2029

 

797,000

b 

677,845

 

Sealed Air Corp., Gtd. Notes

 

6.50

 

7/15/2032

 

3,400,000

b 

3,450,065

 

Sealed Air Corp., Sr. Scd. Notes

 

1.57

 

10/15/2026

 

3,734,000

b 

3,449,174

 
 

7,577,084

 

Media - .8%

     

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes

 

5.38

 

5/1/2047

 

1,446,000

 

1,197,816

 

Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes

 

5.75

 

4/1/2048

 

6,154,000

 

5,320,682

 

Paramount Global, Jr. Sub. Notes

 

6.38

 

3/30/2062

 

5,015,000

 

4,608,909

 

Sunrise Finco I BV, Sr. Scd. Notes

 

4.88

 

7/15/2031

 

4,750,000

b 

4,326,110

 
 

15,453,517

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Metals & Mining - .5%

     

AngloGold Ashanti Holdings PLC, Gtd. Notes

 

3.75

 

10/1/2030

 

2,163,000

 

1,932,796

 

Cleveland-Cliffs, Inc., Gtd. Notes

 

7.00

 

3/15/2032

 

4,587,000

b,e 

4,609,307

 

Newmont Corp./Newcrest Finance Pty Ltd., Gtd. Notes

 

3.25

 

5/13/2030

 

1,171,000

b 

1,086,735

 

Vale Overseas Ltd., Gtd. Notes

 

6.40

 

6/28/2054

 

2,927,000

 

2,925,624

 
 

10,554,462

 

Municipal Securities - .4%

     

California, GO (Build America Bonds)

 

7.30

 

10/1/2039

 

3,705,000

 

4,376,949

 

Michigan, Revenue Bonds, Refunding, Ser. C

 

3.60

 

4/1/2047

 

2,449,000

 

2,096,901

 

New York City, GO (Build America Bonds) Ser. D

 

5.99

 

12/1/2036

 

980,000

 

1,028,009

 
 

7,501,859

 

Real Estate - 2.9%

     

Agree LP, Gtd. Notes

 

2.00

 

6/15/2028

 

8,850,000

 

7,956,987

 

Alexandria Real Estate Equities, Inc., Gtd. Notes

 

4.75

 

4/15/2035

 

566,000

 

537,649

 

American Homes 4 Rent LP, Sr. Unscd. Notes

 

5.50

 

2/1/2034

 

5,475,000

 

5,513,303

 

American Tower Corp., Sr. Unscd. Notes

 

5.55

 

7/15/2033

 

2,412,000

 

2,473,701

 

Brixmor Operating Partnership LP, Sr. Unscd. Notes

 

3.85

 

2/1/2025

 

1,158,000

 

1,146,855

 

EPR Properties, Gtd. Notes

 

4.50

 

4/1/2025

 

3,802,000

 

3,776,544

 

EPR Properties, Gtd. Notes

 

4.75

 

12/15/2026

 

5,000,000

 

4,921,282

 

Extra Space Storage LP, Gtd. Notes

 

2.35

 

3/15/2032

 

1,582,000

 

1,294,141

 

Extra Space Storage LP, Gtd. Notes

 

5.70

 

4/1/2028

 

860,000

 

882,460

 

Healthcare Realty Holdings LP, Gtd. Notes

 

3.50

 

8/1/2026

 

7,500,000

 

7,265,367

 

Kite Realty Group LP, Sr. Unscd. Notes

 

4.00

 

10/1/2026

 

1,071,000

 

1,045,104

 

Kite Realty Group LP, Sr. Unscd. Notes

 

5.50

 

3/1/2034

 

407,000

 

408,802

 

Kite Realty Group Trust, Sr. Unscd. Notes

 

4.00

 

3/15/2025

 

1,250,000

 

1,236,517

 

Phillips Edison Grocery Center Operating Partnership I LP, Gtd. Notes

 

5.75

 

7/15/2034

 

2,012,000

 

2,042,574

 

Rexford Industrial Realty LP, Gtd. Notes

 

2.15

 

9/1/2031

 

2,170,000

 

1,773,759

 

SBA Tower Trust, Asset Backed Notes

 

2.59

 

10/15/2031

 

3,251,000

b 

2,716,169

 

Scentre Group Trust 2, Gtd. Bonds

 

4.75

 

9/24/2080

 

9,348,000

b 

9,107,372

 

VICI Properties LP/VICI Note Co., Inc., Gtd. Notes

 

3.50

 

2/15/2025

 

2,785,000

b 

2,748,013

 
 

56,846,599

 

Retailing - .7%

     

Asbury Automotive Group, Inc., Gtd. Notes

 

5.00

 

2/15/2032

 

5,185,000

b 

4,781,864

 

AutoZone, Inc., Sr. Unscd. Notes

 

4.75

 

2/1/2033

 

2,195,000

 

2,145,439

 

Lowe's Cos., Inc., Sr. Unscd. Notes

 

5.63

 

4/15/2053

 

5,205,000

 

5,161,229

 

Macy's Retail Holdings LLC, Gtd. Notes

 

5.88

 

3/15/2030

 

1,672,000

b 

1,606,252

 

Murphy Oil USA, Inc., Gtd. Notes

 

3.75

 

2/15/2031

 

643,000

b 

571,498

 
 

14,266,282

 

Semiconductors & Semiconductor Equipment - .8%

     

Broadcom, Inc., Gtd. Notes

 

4.15

 

11/15/2030

 

2,922,000

 

2,815,975

 

Broadcom, Inc., Sr. Unscd. Notes

 

3.19

 

11/15/2036

 

2,000,000

b 

1,632,139

 

Broadcom, Inc., Sr. Unscd. Notes

 

4.93

 

5/15/2037

 

3,960,000

b 

3,823,583

 

Micron Technology, Inc., Sr. Unscd. Notes

 

5.30

 

1/15/2031

 

1,347,000

 

1,371,482

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Semiconductors & Semiconductor Equipment - .8%(continued)

     

NXP BV/NXP Funding LLC/NXP USA, Inc., Gtd. Notes

 

3.25

 

5/11/2041

 

6,525,000

 

4,879,133

 

NXP BV/NXP Funding LLC/NXP USA, Inc., Gtd. Notes

 

4.30

 

6/18/2029

 

1,708,000

 

1,670,270

 
 

16,192,582

 

Technology Hardware & Equipment - .2%

     

Dell International LLC/EMC Corp., Gtd. Notes

 

3.45

 

12/15/2051

 

1,373,000

 

959,536

 

Dell International LLC/EMC Corp., Sr. Unscd. Notes

 

5.85

 

7/15/2025

 

1,233,000

 

1,238,208

 

Dell International LLC/EMC Corp., Sr. Unscd. Notes

 

6.02

 

6/15/2026

 

472,000

 

479,924

 

Kyndryl Holdings, Inc., Sr. Unscd. Notes

 

2.05

 

10/15/2026

 

1,821,000

 

1,701,234

 
 

4,378,902

 

Telecommunication Services - 1.8%

     

AT&T, Inc., Sr. Unscd. Bonds

 

4.90

 

8/15/2037

 

1,065,000

 

1,021,205

 

AT&T, Inc., Sr. Unscd. Notes

 

2.55

 

12/1/2033

 

9,905,000

 

8,104,480

 

Iliad Holding SASU, Sr. Scd. Bonds

 

8.50

 

4/15/2031

 

1,849,000

b 

1,927,586

 

Telefonica Emisiones SA, Gtd. Notes

 

5.21

 

3/8/2047

 

1,010,000

 

923,832

 

T-Mobile USA, Inc., Gtd. Notes

 

2.40

 

3/15/2029

 

2,093,000

 

1,891,215

 

T-Mobile USA, Inc., Gtd. Notes

 

6.00

 

6/15/2054

 

2,574,000

 

2,724,449

 

Verizon Communications, Inc., Sr. Unscd. Notes

EUR

3.50

 

6/28/2032

 

16,048,000

 

17,500,458

 

Verizon Communications, Inc., Sr. Unscd. Notes

 

4.02

 

12/3/2029

 

2,045,000

 

1,977,110

 
 

36,070,335

 

Transportation - .3%

     

Norfolk Southern Corp., Sr. Unscd. Notes

 

5.55

 

3/15/2034

 

1,544,000

 

1,616,188

 

XPO, Inc., Gtd. Notes

 

7.13

 

2/1/2032

 

4,390,000

b 

4,543,384

 
 

6,159,572

 

U.S. Government Agencies Collateralized Mortgage Obligations - .3%

     

Federal Home Loan Mortgage Corp., REMIC, Ser. 5010, Cl. EA

 

1.00

 

8/15/2047

 

4,203,079

f 

3,761,086

 

Government National Mortgage Association, Ser. 2023-19, Cl. WB

 

5.67

 

11/20/2051

 

1,481,440

 

1,519,863

 
 

5,280,949

 

U.S. Government Agencies Mortgage-Backed - 30.6%

     

Federal Home Loan Mortgage Corp.:

   

2.00%, 9/1/2050-3/1/2051

  

10,576,921

f 

8,627,291

 

2.50%, 7/1/2050-3/1/2052

  

75,838,922

f 

64,794,948

 

3.00%, 9/1/2047-7/1/2052

  

37,460,600

f 

33,208,603

 

3.50%, 8/1/2046-12/1/2048

  

47,058,204

f 

43,517,619

 

4.50%, 6/1/2052-10/1/2052

  

8,645,515

f 

8,369,721

 

5.00%, 9/1/2052-5/1/2054

  

25,496,455

f 

25,358,796

 

5.50%, 9/1/2052-5/1/2054

  

47,778,935

f 

48,380,036

 

6.00%, 9/1/2053-11/1/2053

  

47,608,845

f 

48,804,232

 

Federal National Mortgage Association:

   

2.00%, 3/1/2036-9/1/2050

  

17,670,309

f 

15,373,160

 


          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

U.S. Government Agencies Mortgage-Backed - 30.6%(continued)

     

2.50%, 5/1/2037-4/1/2052

  

57,106,356

f 

49,051,093

 

3.00%, 10/1/2030-3/1/2052

  

85,859,122

f 

76,803,391

 

3.50%, 11/1/2042-5/1/2052

  

36,651,829

f 

33,724,851

 

4.00%, 5/1/2052-7/1/2052

  

37,107,732

f 

35,088,491

 

4.50%, 3/1/2038-7/1/2052

  

26,855,495

f 

26,310,852

 

5.00%, 7/1/2052-7/1/2053

  

28,710,382

f 

28,557,248

 

5.50%, 11/1/2052

  

4,843,654

f 

4,870,622

 

6.50%, 4/1/2054

  

15,578,305

f 

16,217,678

 

Government National Mortgage Association II:

   

2.00%, 10/20/2050

  

7,639,646

 

6,251,322

 

2.50%, 10/20/2046-10/20/2050

  

26,263,720

 

22,962,386

 

3.00%, 8/20/2046-12/20/2048

  

5,521,541

 

5,003,494

 

4.00%, 1/20/2048

  

683,433

 

654,302

 

4.50%, 7/20/2048

  

1,277,944

 

1,254,579

 
 

603,184,715

 

U.S. Treasury Securities - 10.9%

     

U.S. Treasury Bonds 

 

3.88

 

2/15/2043

 

25,989,300

 

24,234,515

 

U.S. Treasury Bonds 

 

4.38

 

8/15/2043

 

10,335,200

 

10,287,965

 

U.S. Treasury Bonds 

 

4.50

 

2/15/2044

 

15,431,000

 

15,590,132

 

U.S. Treasury Bonds 

 

4.63

 

5/15/2044

 

14,531,000

e 

14,924,926

 

U.S. Treasury Bonds 

 

4.63

 

5/15/2054

 

14,029,000

 

14,693,185

 

U.S. Treasury Bonds 

 

4.75

 

11/15/2043

 

44,853,000

 

46,857,368

 

U.S. Treasury Notes 

 

3.63

 

3/31/2030

 

2,325,000

 

2,286,084

 

U.S. Treasury Notes 

 

4.00

 

2/15/2034

 

18,734,700

e 

18,660,054

 

U.S. Treasury Notes 

 

4.13

 

3/31/2031

 

7,181,000

 

7,249,724

 

U.S. Treasury Notes 

 

4.13

 

3/31/2029

 

14,188,000

 

14,298,290

 

U.S. Treasury Notes 

 

4.25

 

6/30/2031

 

8,276,400

e 

8,419,944

 

U.S. Treasury Notes 

 

4.25

 

6/30/2029

 

6,767,500

e 

6,862,139

 

U.S. Treasury Notes 

 

4.25

 

5/31/2025

 

5,804,000

e 

5,774,811

 

U.S. Treasury Notes 

 

4.38

 

5/15/2034

 

7,290,000

e 

7,477,376

 

U.S. Treasury Notes 

 

4.88

 

11/30/2025

 

17,191,000

 

17,260,503

 
 

214,877,016

 

Utilities - 3.7%

     

AES Andes SA, Jr. Sub. Notes

 

6.35

 

10/7/2079

 

2,167,000

b 

2,141,698

 

AES Panama Generation Holdings SRL, Sr. Scd. Notes

 

4.38

 

5/31/2030

 

1,961,146

b 

1,732,408

 

Ameren Corp., Sr. Unscd. Notes

 

1.75

 

3/15/2028

 

3,952,000

 

3,558,927

 

Arizona Public Service Co., Sr. Unscd. Notes

 

4.25

 

3/1/2049

 

4,338,000

 

3,525,879

 

Baltimore Gas & Electric Co., Sr. Unscd. Notes

 

2.25

 

6/15/2031

 

5,026,000

 

4,299,807

 

CMS Energy Corp., Jr. Sub. Notes

 

3.75

 

12/1/2050

 

1,186,000

 

997,400

 

Consolidated Edison Company of New York, Inc., Sr. Unscd. Debs., Ser. 20B

 

3.95

 

4/1/2050

 

1,753,000

 

1,419,745

 

Consolidated Edison Company of New York, Inc., Sr. Unscd. Notes

 

5.90

 

11/15/2053

 

1,402,000

 

1,479,079

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

          
 

Description

Coupon
Rate (%)

 

Maturity
Date

 

Principal
Amount ($)

a 

Value ($)

 

Bonds and Notes - 97.7%(continued)

     

Utilities - 3.7%(continued)

     

Constellation Energy Generation LLC, Sr. Unscd. Notes

 

5.80

 

3/1/2033

 

2,736,000

 

2,847,625

 

DTE Energy Co., Sr. Unscd. Notes

 

4.95

 

7/1/2027

 

2,703,000

 

2,713,587

 

Duke Energy Corp., Sr. Unscd. Notes

 

5.00

 

8/15/2052

 

5,050,000

 

4,534,325

 

Edison International, Jr. Sub. Bonds, Ser. A

 

5.38

 

3/15/2026

 

4,365,000

d 

4,276,158

 

Electricite de France SA, Jr. Sub. Notes

 

9.13

 

3/15/2033

 

1,272,000

b,d 

1,412,470

 

Electricite de France SA, Sr. Unscd. Notes

 

5.70

 

5/23/2028

 

583,000

b 

599,511

 

Electricite de France SA, Sr. Unscd. Notes

 

6.90

 

5/23/2053

 

1,361,000

b 

1,518,236

 

Enel Finance America LLC, Gtd. Notes

 

7.10

 

10/14/2027

 

820,000

b 

872,009

 

Enel Finance International NV, Gtd. Notes

 

5.50

 

6/26/2034

 

1,492,000

b 

1,493,877

 

Enel Finance International NV, Gtd. Notes

 

7.50

 

10/14/2032

 

871,000

b 

989,972

 

Eversource Energy, Sr. Unscd. Notes

 

5.50

 

1/1/2034

 

1,197,000

 

1,206,771

 

Exelon Corp., Sr. Unscd. Notes

 

4.05

 

4/15/2030

 

5,833,000

 

5,616,904

 

Exelon Corp., Sr. Unscd. Notes

 

5.45

 

3/15/2034

 

882,000

 

900,163

 

FirstEnergy Corp., Sr. Unscd. Notes, Ser. C

 

4.85

 

7/15/2047

 

1,379,000

 

1,213,264

 

IPALCO Enterprises, Inc., Sr. Scd. Notes

 

4.25

 

5/1/2030

 

1,814,000

 

1,722,426

 

IPALCO Enterprises, Inc., Sr. Scd. Notes

 

5.75

 

4/1/2034

 

2,329,000

 

2,377,613

 

Jersey Central Power & Light Co., Sr. Unscd. Notes

 

2.75

 

3/1/2032

 

1,810,000

b 

1,539,073

 

Louisville Gas & Electric Co., First Mortgage Bonds

 

4.38

 

10/1/2045

 

1,410,000

 

1,210,843

 

Niagara Mohawk Power Corp., Sr. Unscd. Notes

 

5.66

 

1/17/2054

 

878,000

b 

870,917

 

NiSource, Inc., Sr. Unscd. Notes

 

3.60

 

5/1/2030

 

1,297,000

 

1,219,219

 

NiSource, Inc., Sr. Unscd. Notes

 

5.35

 

4/1/2034

 

2,152,000

 

2,169,103

 

Pacific Gas & Electric Co., First Mortgage Bonds

 

2.10

 

8/1/2027

 

2,060,000

 

1,890,452

 

Piedmont Natural Gas Co., Inc., Sr. Unscd. Notes

 

3.50

 

6/1/2029

 

3,262,000

 

3,081,305

 

Public Service Enterprise Group, Inc., Sr. Unscd. Notes

 

5.45

 

4/1/2034

 

2,403,000

 

2,445,118

 

Public Service Enterprise Group, Inc., Sr. Unscd. Notes

 

6.13

 

10/15/2033

 

1,574,000

 

1,676,642

 

Puget Energy, Inc., Sr. Scd. Notes

 

2.38

 

6/15/2028

 

1,709,000

 

1,545,183

 

Rochester Gas & Electric Corp., First Mortgage Bonds

 

3.10

 

6/1/2027

 

1,969,000

b 

1,882,701

 
 

72,980,410

 

Total Bonds and Notes
(cost $1,954,891,152)

 

1,923,704,960

 

Description

1-Day
Yield (%)

   

Shares

 

Value ($)

 

Investment Companies - .6%

     

Registered Investment Companies - .6%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares 
(cost $11,053,535)

 

5.44

   

11,053,535

g 

11,053,535

 


          
 
         

Investment of Cash Collateral for Securities Loaned - .5%

     

Registered Investment Companies - .5%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares 
(cost $9,720,380)

 

5.44

   

9,720,380

g 

9,720,380

 

Total Investments (cost $1,975,665,067)

 

98.8%

1,944,478,875

 

Cash and Receivables (Net)

 

1.2%

24,053,293

 

Net Assets

 

100.0%

1,968,532,168

 

REMIC—Real Estate Mortgage Investment Conduit

SOFR—Secured Overnight Financing Rate

TSFR—Term Secured Overnight Financing Rate Reference Rates

AUD—Australian Dollar

EUR—Euro

PEN—Peruvian Nuevo Sol

RON—Romanian Leu

a Amount stated in U.S. Dollars unless otherwise noted above.

b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2024, these securities were valued at $488,248,649 or 24.8% of net assets.

c Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.

d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.

e Security, or portion thereof, on loan. At July 31, 2024, the value of the fund’s securities on loan was $38,227,760 and the value of the collateral was $39,463,987, consisting of cash collateral of $9,720,380 and U.S. Government & Agency securities valued at $29,743,607. In addition, the value of collateral may include pending sales that are also on loan.

f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.

g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.

       

Futures 

   

Description

Number
of
Contracts

Expiration

Notional
Value ($)

Market
Value ($)

Unrealized
Appreciation (Depreciation) ($)

 

Futures Long 

  

Australian 10 Year Bond

264

9/16/2024

19,591,904a

19,902,559

310,655

 

Euro-Bobl

809

9/6/2024

102,244,193a

102,884,735

640,542

 

U.S. Treasury 2 Year Notes

690

9/30/2024

140,749,399

141,703,360

953,961

 

U.S. Treasury 5 Year Notes

5,637

9/30/2024

598,102,156

608,179,481

10,077,325

 

U.S. Treasury Long Bond

608

9/19/2024

71,039,994

73,435,000

2,395,006

 

Futures Short 

  

10 Year U.S. Treasury Notes

290

9/19/2024

33,163,482

33,517,658

(354,176)

 

Canadian 10 Year Bond

1,072

9/18/2024

92,938,666a

95,456,256

(2,517,590)

 

Euro-Bond

98

9/6/2024

13,758,068a

14,183,471

(425,403)

 

Japanese 10 Year Bond

74

9/12/2024

70,847,726a

70,500,184

347,542

 

U.S. Treasury 10 Year Notes

267

9/19/2024

29,210,521

29,853,938

(643,417)

 

U.S. Treasury Ultra Long Bond

92

9/19/2024

11,569,167

11,773,125

(203,958)

 

Gross Unrealized Appreciation

 

14,725,031

 

Gross Unrealized Depreciation

 

(4,144,544)

 

a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.

See notes to financial statements.


STATEMENT OF INVESTMENTS (Unaudited) (continued)

      

Forward Foreign Currency Exchange Contracts 

 

Counterparty/ Purchased
Currency

Purchased Currency
Amounts

Currency
Sold

Sold
Currency
Amounts

Settlement Date

Unrealized Appreciation (Depreciation) ($)

Barclays Capital, Inc. 

United States Dollar

166,322

Euro

152,000

8/13/2024

1,719

Citigroup Global Markets, Inc. 

British Pound

169,000

United States Dollar

214,130

8/13/2024

3,156

United States Dollar

88,348

British Pound

68,000

8/13/2024

919

Euro

249,000

United States Dollar

272,471

8/13/2024

(2,826)

Goldman Sachs & Co. LLC 

United States Dollar

96,763

Swedish Krona

1,046,000

8/13/2024

(974)

United States Dollar

14,414,239

Peruvian Nuevo Sol

55,515,000

8/13/2024

(437,038)

United States Dollar

13,827,012

Romanian Leu

64,018,000

8/13/2024

(96,097)

United States Dollar

14,070,194

Australian Dollar

21,090,000

8/13/2024

273,623

United States Dollar

21,751,966

Euro

20,183,000

8/13/2024

(104,451)

Canadian Dollar

2,830,000

United States Dollar

2,067,674

8/13/2024

(17,142)

Gross Unrealized Appreciation

  

279,417

Gross Unrealized Depreciation

  

(658,528)

See notes to financial statements.

        

Centrally Cleared Interest Rate Swaps

Received
Reference
Entity

Paid
Reference
Entity

Maturity

Date

Notional
Amount ($)

Market
Value ($)

Upfront
Payments/
Receipts ($)

Unrealized Appreciation (Depreciation) ($)

EUR Maturity Fixed at 2.53%

EUR - CPTFEMU at Maturity

4/22/2054

14,058,427

631,035

(42,621)

673,656

GBP Maturity Fixed at 3.78%

GBP - UKRPI at Maturity

4/22/2034

23,229,889

477,326

(18,537)

495,863

USD - CPURNSA at Maturity

USD Maturity Fixed at 2.53%

4/22/2054

20,690,000

(487,663)

2,505

(490,168)

GBP Maturity Fixed at 3.71%

GBP - UKRPI at Maturity

5/16/2034

25,286,769

400,612

12,842

387,770

USD - CPURNSA at Maturity

USD Maturity Fixed at 2.51%

7/5/2054

10,345,000

(216,940)

-

(216,940)

USD - CPURNSA at Maturity

USD Maturity Fixed at 2.48%

7/11/2054

10,410,000

(147,106)

3,294

(150,400)

EUR Maturity Fixed at 2.46%

EUR - CPTFEMU at Maturity

7/9/2054

9,843,064

230,370

-

230,370

EUR - CPTFEMU at Maturity

EUR Maturity Fixed at 2.46%

7/9/2054

9,843,064

236,352

-

236,352

EUR 12 Month Fixed at 2.70%

EUR - 6 Month Euribor at 3.58%

7/26/2029

69,264,000

363,200

-

363,200

SEK - 3 Month STIBOR at 3.61%

SEK 12 Month Fixed at 2.39%

7/26/2029

65,084,227

(364,416)

-

(364,416)

Gross Unrealized Appreciation

2,387,211

Gross Unrealized Depreciation

(1,221,924)

EUR—Euro


GBP—British Pound

SEK—Swedish Krona

USD—United States Dollar

CPTFEMU—Eurostat Eurozone HICP Ex Tobacco Unrevised NSA

CPURNSA—US CPI Urban Consumers NSA

UKRPI—UK RPI All Items NSA

See notes to financial statements.


STATEMENT OF INVESTMENTS
BNY Mellon Insight Core Plus Fund

July 31, 2024 (Unaudited)

The following is a summary of the inputs used as of July 31, 2024 in valuing the fund’s investments:

       
 

Level 1-Unadjusted Quoted Prices

Level 2- Other Significant Observable Inputs

 

Level 3-Significant Unobservable Inputs

Total

 

Assets ($) 

  

Investments in Securities:

  

Asset-Backed Securities

-

97,512,182

 

-

97,512,182

 

Collateralized Loan Obligations

-

58,486,959

 

-

58,486,959

 

Commercial Mortgage-Backed

-

38,731,467

 

-

38,731,467

 

Corporate Bonds

-

844,585,258

 

-

844,585,258

 

Foreign Governmental

-

53,544,555

 

-

53,544,555

 

Investment Companies

20,773,915

-

 

-

20,773,915

 

Municipal Securities

-

7,501,859

 

-

7,501,859

 

U.S. Government Agencies Collateralized Mortgage Obligations

-

5,280,949

 

-

5,280,949

 

U.S. Government Agencies Mortgage-Backed

-

603,184,715

 

-

603,184,715

 

U.S. Treasury Securities

-

214,877,016

 

-

214,877,016

 

Other Financial Instruments:

  

Forward Foreign Currency Exchange Contracts††

-

279,417

 

-

279,417

 

Futures††

14,725,031

-

 

-

14,725,031

 

Swap Agreements††

-

2,387,211

 

-

2,387,211

 

Liabilities ($) 

  

Other Financial Instruments:

  

Forward Foreign Currency Exchange Contracts††

-

(658,528)

 

-

(658,528)

 

Futures††

(4,144,544)

-

 

-

(4,144,544)

 

Swap Agreements††

-

(1,221,924)

 

-

(1,221,924)

 

 See Statement of Investments for additional detailed categorizations, if any.

†† Amount shown represents unrealized appreciation (depreciation) at period end.


The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:

The Company’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.


Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.

Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills)financial futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

Financial futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on


interest rates and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.

Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.

Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at July 31, 2024 is discussed below.

Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.

Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value


of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.

Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.

For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.

Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.

Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is included within realized gain (loss) on swap agreements in the Statement of Operations. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.


For OTC swaps, the fund’s maximum risk of loss from counterparty risk is the discounted value of the cash flows to be received from the counterparty over the agreement’s remaining life, to the extent that the amount is positive. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. There is minimal counterparty risk to the fund with centrally cleared swaps since they are exchange traded and the exchange guarantees these swaps against default.    Interest rate swaps open at July 31, 2024 are set forth in the Statement of Investments.

At July 31, 2024, accumulated net unrealized depreciation on investments was $19,819,529, consisting of $44,049,928 gross unrealized appreciation and $63,869,457 gross unrealized depreciation.

At July 31, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.